Although it is technically possible to root some Rhododendrons from cuttings, very few people can and do successfully propagate them this way because they require very specific light/moisture & soil conditions to strike roots, and even then the failure rate is very hight - they are usually propagated by grafting onto a seedling rootstock or by seed for some of the species.

As an addition to Ilex's post above, the smaller leaved dwarf species that grow above the tree line in the wild are somewhat easier to take as cuttings though still a little temperamental. The larger leaved woodland species that make larger shrubs or small trees are indeed very difficult as said above. Which type are you referring to?